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Derivative instruments
 3 Months Ended
Mar. 31, 2013
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Derivative instruments

Note 9 – Derivative instruments

The Company uses interest rate swaps and caps to manage exposure to variable cash flows on portions of its borrowings under repurchase agreements. The Company’s repurchase agreements bear interest at a LIBOR-based variable rate and increases in LIBOR could negatively impact earnings. Interest rate swap and cap agreements allow the Company to receive a variable rate cash flow based on LIBOR and pay a fixed rate cash flow, mitigating the impact of this exposure.

The Company entered into interest rate swaps and forward-starting caps in an effort to economically hedge a portion of its floating-rate interest payments due under the Wells Facility as well as potential extensions of the collateral securing the Wells Facility borrowings. The Company’s derivative instruments consist of the following at March 31, 2013 and December 31, 2012:

 

          March 31, 2013     December 31, 2012  
    

Balance Sheet Location

    Notional
Value		     Estimated
Fair Value		     Notional
Value		     Estimated
Fair Value		  

Interest rate swaps

    Derivative instruments    $ 66,895      $ (84 )    $ 80,881      $ (156 ) 

Interest rate caps

    Derivative instruments      209,620 *      1        203,248 *      1   
       

 

 

      

 

 

  

Total derivative instruments

         $ (83 )      $ (155 ) 
       

 

 

      

 

 

  

 

* Represents the notional values at March 31, 2013 and December 31, 2012 but does not include forward-starting notionals.

The Company has an agreement with its derivative counterparty that contains a provision where if the Company either defaults or is capable of being declared in default on any of its indebtedness, then the Company could also be declared in default on its derivative obligations.

The following table summarizes the amounts recognized on the consolidated statements of operations related to the Company’s derivatives for the three months ended March 31, 2013 and 2012.

 

          Amount of loss recognized in income  
    

Location of Loss Recognized in Income

    2013     2012  

Interest rate swaps

    Loss on derivative instruments – realized *    $ (72 )    $ (412 ) 

Interest rate swaps

    Gain on derivative instruments – unrealized      72        147   

Interest rate caps

    Loss on derivative instruments - unrealized      —          (152 ) 
     

 

 

    

 

 

  

Total

       $ —        $ (417 ) 
     

 

 

    

 

 

  

 

* Realized losses represent net amounts accrued for the Company’s derivative instruments during the period.

The following table summarizes the gross asset and liability amounts related to the Company’s derivatives at March 31, 2013 and December 31, 2012.

 

     March 31, 2013     December 31, 2012  
     Gross
Amount of
Assets
Recognized
as
Liabilities		      Gross
Amounts
Offset in the
Statement
of Financial
Position		     Net Amounts
of Liabilities
Presented in
the Statement
of Financial
Position		     Gross
Amount of
Assets
Recognized
as
Liabilities		      Gross
Amounts
Offset in the
Statement
of Financial
Position		     Net Amounts
of Liabilities
Presented in
the Statement
of Financial
Position		  

Interest rate swaps

    $ -       $ (84 )    $ (84 )    $ -       $ (156 )    $ (156 ) 

Interest rate caps

      1         -        1        1         -        1   
  

 

 

     

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total derivative instruments

    $ 1       $ (84 )    $ (83 )    $ 1       $ (156 )    $ (155 )